000000524 001__ 524 000000524 005__ 20240523045423.0 000000524 02470 $$a10.6082/M18050JC$$2doi 000000524 037__ $$aTHESIS$$bDissertation 000000524 041__ $$aeng 000000524 245__ $$aConditional Market Exposures of the Value Premium 000000524 260__ $$bUniversity of Chicago 000000524 269__ $$a2016 000000524 300__ $$a66 000000524 336__ $$aDissertation 000000524 502__ $$bPh.D. 000000524 542__ $$fUniversity of Chicago dissertations are covered by copyright. 000000524 590__ $$aValue strategies exhibit a large positive beta if contemporaneous market excess returns are positive, and a small beta if contemporaneous market excess returns are negative. Value also has a large positive beta after bear markets, but a small beta after bull markets. These facts hold for equity-value strategies in 21 countries, and to a lesser extent for three non-equity-value strategies. Betas conditional on contemporaneous market returns capture expected-return variation associated with the book-to-market ratio. These betas also partially capture the value premium, and are related to larger cash-flow risks of value strategies. 000000524 653__ $$aasymmetry 000000524 653__ $$abeta 000000524 653__ $$acash-flow risk 000000524 653__ $$aconditional beta 000000524 653__ $$avalue premium 000000524 690__ $$aBooth School of Business 000000524 691__ $$aBooth School of Business Dissertations 000000524 7001_ $$aQiao, Xiao$$uUniversity of Chicago 000000524 72012 $$aTobias Moskowitz 000000524 72012 $$aLubos Pastor 000000524 8564_ $$97e09a314-4f76-4a8e-a879-7e77860c00af$$s955363$$uhttps://knowledge.uchicago.edu/record/524/files/Qiao_uchicago_0330D_13286.pdf$$ePublic 000000524 902__ $$ahttp://hdl.handle.net/11417/190 000000524 903__ $$aMade available in DSpace on 2016-10-27T15:04:43Z (GMT). No. of bitstreams: 1 Qiao_uchicago_0330D_13286.pdf: 955363 bytes, checksum: 7d8bab47a44614fdf3c1d0b39d470fb9 (MD5) Previous issue date: 2016 000000524 909CO $$ooai:knowledge.uchicago.edu:524$$pDissertations$$pGLOBAL_SET$$qthesis_test 000000524 945__ $$aUChicago Dissertations 000000524 945__ $$aChicago Booth School of Business - Dissertations 000000524 946__ $$aUChicago Dissertations 000000524 946__ $$aChicago Booth School of Business 000000524 980__ $$aMIG 000000524 983__ $$aDissertation